BUG: CME SOFR 1m rolls

attack68 · Jan 15, 2025 · e22229c · e22229c
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diff --git a/docs/source/i_whatsnew.rst b/docs/source/i_whatsnew.rst
@@ -40,6 +40,10 @@ email contact, see `rateslib <https://rateslib.com>`_.
        :meth:`~rateslib.curves.Curve.update_node` to allow mutating *Curve* types directly
        with appropriate cache and state management.
        (`584 <https://github.com/attack68/rateslib/pull/584>`_)
+   * - Bug
+     - Defaults spec *"usd_stir1"* for CME 1m SOFR futures has corrected the roll to *"som"*,
+       instead of *"imm"*, to allow correct placement of contracts averaging all of the rates
+       in a specific contract month.
    * - Bug
      - :class:`~rateslib.instruments.STIRFuture` now correctly handles the ``fx`` and ``base``
        arguments when using the :meth:`~rateslib.instruments.STIRFuture.npv` or

diff --git a/python/rateslib/data/__instrument_spec.csv b/python/rateslib/data/__instrument_spec.csv
@@ -11,7 +11,7 @@ base_derivative,leg1,frequency,str,m,q,a,a,a,a,a,a,a,s,a,a,s,s,s,q,a,a,a,a,a,a,a
 base_derivative,leg1,stub,str,longfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,shortfront,,,,shortfront,,,,,,,,,,,,,
 base_derivative,leg1,front_stub,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
 base_derivative,leg1,back_stub,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
-base_derivative,leg1,roll,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,imm,imm,imm,imm,imm,imm
+base_derivative,leg1,roll,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,imm,som,imm,imm,imm,imm
 base_derivative,leg1,eom,bool,FALSE,FALSE,FALSE,TRUE,TRUE,FALSE,FALSE,FALSE,FALSE,FALSE,TRUE,TRUE,TRUE,TRUE,TRUE,TRUE,TRUE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,TRUE,FALSE,FALSE,FALSE,TRUE,TRUE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,TRUE,FALSE,TRUE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE,FALSE
 base_derivative,leg1,modifier,str,p,none,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,none,mf,mf,none,none,none,none,none,none,none,none,none,none,none,none,none,none,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf,mf
 base_derivative,leg1,calendar,str,"nyc,tgt,ldn",nyc,nyc,nyc,ldn,tgt,stk,osl,zur,tro,tro,tyo,wlg,wlg,syd,syd,syd,tgt,tgt,tgt,stk,osl,osl,"tgt,nyc","ldn,nyc","tgt,ldn","tgt,ldn","nyc,tyo","nyc,syd","nyc,syd","nyc,wlg","nyc,wlg,syd",tgt,ldn,nyc,ldn,stk,tgt,osl,nyc,nyc,ldn,tgt,tgt,tgt,tgt,stk,osl,tro,nyc,stk,ldn,ldn,stk,tgt,tgt,tgt,osl,osl,nyc,nyc,nyc,tgt,tgt,tgt,ldn